WaveNetを使った仮想通貨予測モデルの設計と運用

Transcript

1. WaveNetΛ࢖ͬͨ Ծ૝௨՟༧ଌϞσϧͷ ઃܭͱӡ༻ Alpaca Japan yoshiso MarketTech Meetup #1 @ 2018.12.19
2. Who I am Name @yoshiso Belongs AlpacaJapan Role Engineer
3. Disclaimer ͜͜ʹه͞Εͨҙݟ͸ࢲݸਓͷ΋ͷͰ͋Γ ձࣾΛ୅ද͢Δ΋ͷͰ͸͋Γ·ͤΜ ౤ࢿॿݴɾਪ঑ɾק༠͢Δ΋ͷͰ΋͋Γ·ͤΜ
4. How to Design the Market Prediction Model
5. Outline Universe Time Horizon Training Label Features Model
6. Only for Meetup Visitors
7. How to Manage the Prediction System
8. Outline Ձ֨σʔλͷσϦόϦ ༧ଌੜ੒ͱΦʔμʔडൃ஫ͷ෼཭ Ϟσϧͷ࠶ֶशͱߋ৽
9. Architecture USBEFTFSWFS &YDIBOHF BMMPDBUPS 1SFEJDUPS 1SFEJDUPS trades executions trades executions order order aggregated price data desired portfolio 1SFEJDUPS
10. tradeserver • औҾॴͷՁ֨σʔλΛಉظɺෳ਺predictor΁Ձ ֨σʔλΛఏڙ͢Δ • औҾॴͷRateLimitճආͭͭ͠࠷଎ͰσϦόϦ • Φʔμʔͷঢ়ଶ؅ཧ • औҾॴଆΦʔμʔ͕ݟ͑ͳ͍έʔε౳ݕ஌ɺ ੔߹ੑΛऔΔ
11. allocator • ݱࡏͷϙʔτϑΥϦΦͱཧ૝ϙʔτϑΥϦΦ ͷࠩ෼Λࣥߦ͢Δ • େ͖͍ΦʔμʔͷεϥΠγϯάॲཧɺϦϛο τΦʔμʔͷ؅ཧ • ෳ਺ͷϓϨσΟΫλ͔Βཧ૝ϙʔτϑΥϦΦ Λड͚औΓҰׅ؅ཧ
12. predictor • ࢦఆ͞Εͨස౓͝ͱʹՁ֨ͷࠩ෼σʔλΛ tradeserver͔Βऔಘ • ฒྻॲཧʹͯલॲཧɺϞσϧͷਪ࿦ɺ༧ଌε ίΞΛܭࢉ • ༧ଌείΞΛ΋ͱʹཧ૝ϙʔτϑΥϦΦΛग़ ྗ͢Δ
13. Model Re-training • ఆظతʹ࠶ֶशΛ͔͚Δ(bi-weekly) • ௚ۙੜ੒͞Εͨෳ਺ͷϞσϧΛݩʹΞϯαϯϒϧ • Ϛʔέοτ͕มΘΔͱɺਫ਼౓͕શ͘ग़ͳ͘ͳΔ͜ͱ΋
14. Done
15. We’re Hiring Check AlpacaJapan in Wantedly